Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0234 |
| Annualized Std Dev | 0.0972 |
| Annualized Sharpe (Rf=0%) | 0.2410 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3571.0000 |
| NAs | 1.0000 |
| Minimum | -0.0515 |
| Quartile 1 | -0.0033 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0036 |
| Maximum | 0.0512 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0000 |
| Stdev | 0.0061 |
| Skewness | 0.0518 |
| Kurtosis | 6.9666 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0043 |
| Gain Deviation | 0.0042 |
| Loss Deviation | 0.0042 |
| Downside Deviation (MAR=210%) | 0.0101 |
| Downside Deviation (Rf=0%) | 0.0043 |
| Downside Deviation (0%) | 0.0043 |
| Maximum Drawdown | 0.1940 |
| Historical VaR (95%) | -0.0092 |
| Historical ES (95%) | -0.0134 |
| Modified VaR (95%) | -0.0090 |
| Modified ES (95%) | -0.0131 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-08-05 | 2021-03-18 | NA | -0.1940 | 158 | 156 | NA |
| 2008-12-24 | 2009-06-10 | 2010-08-31 | -0.1571 | 424 | 115 | 309 |
| 2016-07-11 | 2018-11-08 | 2019-08-12 | -0.1537 | 778 | 590 | 188 |
| 2012-07-25 | 2013-09-05 | 2015-01-15 | -0.1399 | 623 | 280 | 343 |
| 2010-09-01 | 2011-02-08 | 2011-08-08 | -0.1225 | 236 | 111 | 125 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0 | -0.4 | -0.1 | -0.3 | -0.9 | 0.8 | -0.4 | -0.1 | 0.2 | 0.2 | -0.4 | 0.5 | -0.9 |
| 2008 | 0.2 | 1.3 | -1.5 | -0.3 | 0.4 | -0.3 | -0.3 | -0.4 | 0.6 | -1 | 1.5 | -1.3 | -1.2 |
| 2009 | 0.3 | -0.4 | 0.4 | -0.6 | -2.5 | -0.4 | 1.2 | -0.1 | 0.7 | 1.1 | -1.1 | -0.5 | -1.8 |
| 2010 | -0.9 | -0.2 | -0.5 | 0.7 | 0.1 | -0.2 | 1.1 | -1.5 | -0.3 | -0.4 | -1.9 | 0.6 | -3.4 |
| 2011 | -0.8 | -0.2 | -0.2 | 0.4 | 0.9 | -0.5 | 0.2 | 0.9 | 1 | 1.7 | -0.4 | 0 | 2.9 |
| 2012 | -0.7 | -0.8 | -0.9 | -0.5 | 1.2 | -0.9 | -0.6 | 0.7 | 0 | -0.4 | 0 | -1 | -3.8 |
| 2013 | -0.8 | 0.2 | 0.1 | 0.4 | -0.3 | -0.1 | -1.5 | -0.1 | -0.4 | -0.9 | -0.1 | -0.6 | -3.9 |
| 2014 | 0.4 | 0 | -0.6 | 0.3 | -0.1 | -0.6 | 0.4 | 0 | 1 | -0.2 | 0.2 | -0.1 | 0.6 |
| 2015 | 1 | 0.2 | 0.6 | -0.9 | -0.8 | -0.8 | 0.7 | 0.3 | 0 | 0.2 | 0.5 | 0.1 | 1 |
| 2016 | -0.3 | -1.1 | -0.1 | 0 | -0.1 | 0.6 | -0.7 | 0 | -0.4 | -0.1 | -0.7 | 0.2 | -2.7 |
| 2017 | -0.3 | -1.1 | 0.2 | -0.5 | -0.2 | -0.3 | 0.2 | -0.6 | -0.1 | 0 | 0.5 | 0.1 | -2 |
| 2018 | -0.9 | 0.3 | 0.3 | -0.5 | -0.6 | -0.1 | -0.6 | 0 | -0.6 | -0.1 | 0.3 | 0.4 | -2.1 |
| 2019 | -0.8 | -0.7 | -1.2 | 0 | 0.8 | -0.3 | 1.2 | -0.1 | 0.1 | -0.4 | -0.1 | -0.6 | -2.2 |
| 2020 | 0.8 | 1.7 | 0.9 | 0.3 | -0.5 | -0.3 | 0 | 0.8 | 0 | -0.8 | -2.4 | 0.2 | 0.6 |
| 2021 | 0 | -0.8 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-11 100. SPY 142. 0.0044 0.0035 0.0052 0.0509 0.103 0.265 0.230 GLD 60.6 0.0007 -0.0165
2 2007-01-12 99.9 SPY 143. 0.0076 0.0192 0.0099 0.0602 0.108 0.265 0.234 GLD 62.2 0.0254 0.0332
3 2007-01-16 100. SPY 143. -0.002 0.0125 0.0087 0.049 0.110 0.270 0.244 GLD 62.0 -0.0032 0.0246
4 2007-01-17 100. SPY 143. 0.0004 0.0138 0.0081 0.0468 0.111 0.260 0.252 GLD 62.6 0.0108 0.0294
5 2007-01-18 100. SPY 143. -0.0034 0.0071 -0.0041 0.0417 0.111 0.253 0.238 GLD 62.3 -0.0061 0.0276
6 2007-01-19 99.8 SPY 143. 0.002 0.0046 0.0034 0.047 0.117 0.250 0.266 GLD 63 0.0119 0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
